Do Political News Affect Financial Market Returns? Evidences from Brazil
Publish place: International Journal of Management, Accounting and Economics (IJMAE)، Vol: 3، Issue: 10
Publish Year: 1395
Type: Journal paper
Language: English
View: 406
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Document National Code:
JR_IJMAE-3-10_003
Index date: 25 February 2017
Do Political News Affect Financial Market Returns? Evidences from Brazil abstract
This paper investigates the relation between political news and market returns. To do so we applied a Garch filter to a sample of the main Brazilian stock market index returns (Ibovespa Index) and of short-term interest rates (Selic Over and DI) which ranged from 01/02/2014 to 04/29/2016. Then we looked for periods of abnormal volatility which might be associated with political events using a parametric and a nonparametric method. Notwithstanding there were news like important politician been arrested and even speculation about the beginning of an impeachment process, we found relation between abnormal volatilities and political news only in Ibovespa returns during Presidential Elections.
Do Political News Affect Financial Market Returns? Evidences from Brazil Keywords:
Do Political News Affect Financial Market Returns? Evidences from Brazil authors
Thales Batiston Marques
Economia e Relações Internacionais, Universidade Federal do Rio Grande do Sul, Porto Alegre, Brazil
Nelson Seixas dos Santos
Economia e Relações Internacionais, Universidade Federal do Rio Grande do Sul, Porto Alegre, Brazil